Convex Approximations of Chance Constrai
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Nemirovski, Arkadi; Shapiro, Alexander
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Article
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2007
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Society for Industrial and Applied Mathematics
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English
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We consider a chance constrained problem, where one seeks to minimize a convex objective over solutions satisfying, with a given close to one probability, a system of randomly perturbed convex constraints. This problem may happen to be computationally intractable; our goal is to build its computatio